Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Sílvia Gonçalves, Ulrich Hounyo, Andrew J. Patton, and Kevin Sheppard
| Year of publication: |
2023
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|---|---|
| Authors: | Gonçalves, Sílvia ; Hounyo, Ulrich ; Patton, Andrew J. ; Sheppard, Kevin |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 3, p. 683-694
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| Subject: | Copulas | Inference | Multivariate GARCH | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2058949 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448421